Stop using bivariate correlations for variable selection
November 26, 2021•144 words
Stop using bivariate correlations for variable selection
The real problem comes into play here — the bivariate comparsions selects for the wrong variables by over-emphasizing the relationship between the marginal distributions. Because the selected model is incomplete and important variables are omitted, the resulting parameter estimates are biased and inaccurate.
The bivariate comparsion is a terrible way to select relevant variables for a highly dimensional model as the function of interest...
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